In order of preference:
Custom IEMs first (UE10 with iPod and a variety of portable amps). I like the comfort and simplicity of it and the fact that I can search for songs/albums on the iPod while lying in bed. No need to change CDs.
Speakers second (Talon Audio Khorus speakers for my bedroom setup with Audio Aero Prima and Bel Canto amps in a bridged mono configuration). It's a fairly large room (15' x 16') and sounds quite full. But as nice as it sounds, I want to be sitting up in bed to listen more critically. Otherwise, I always feel that I'll be "missing" something if I lay back on my pillow without propping my head up. Plus, it's my 2nd system and doesn't sound as good as my MBL system in the living room. So it's kind of a Catch 22. To really enjoy it, I need to focus on it, and if I'm in the mood to focus on it, I'd rather be listening to the MBL system!
Radio third (Tivoli Model 3 analog clock radio with extra speaker for stereo sound). This is actually pretty decent sounding, especially when I lay with my head at the foot of the bed. The Trivoli components are situated on each of the night stands, so with my head at the foot of the bed I get a nice, mellow sounding radio in stereo. If only I had this setup back in high school. This is a fun system to listen to on Sunday mornings while reading a pile of newspapers. I don't listen to radio nearly enough, and am pleasantly surprised at how good the Tivoli unit sounds.
Full size headphones fourth (using a Singlepower Maestro and a variety of headphones). Normally, I listen to full size headphones in another room in an easy chair. But on occasion, I'll fire up the Maestro and use the R10 or L3000 for a good session in bed. I don't find it nearly as comfortable or as convenient as the iPod/UE10.